Fin de Siecle Real Interest Parity / Eiji Fujii, Menzie D. Chinn.

Format:

Book

Author/Creator:

Fujii, Eiji.

Contributor:

National Bureau of Economic Research.

Chinn, Menzie D.

Series:

Working Paper Series (National Bureau of Economic Research) no. w7880.

NBER working paper series no. w7880

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2000.

Summary:

We evaluate the recent evidence for real interest parity, focusing on long-term yields. Examining the data on financial instruments of various maturities across the G7 countries, we find substantial differences in the degree of real interest equalization measured at different horizons. In general, real interest parity holds better at long horizons than at short. This empirical result is robust to alternative ways of modeling expected inflation rates. Considering the relevance of long-term yields for the investment decisions of firms, our findings imply that the degree of capital mobility among the G-7 economies may be greater than previously thought.

Notes:

Print version record

September 2000.